Abstract
We investigate a minimum risk portfolio model under conditions of a hybrid uncertainty of a possibilistic-probabilistic type with weak and strong triangular norms (t-norms) describing the interaction of fuzzy factors of the model. For the case of the weakest t-norm, a formula for variance is derived, which makes it possible to estimate the risk of the portfolio. An equivalent crisp analog of the model is constructed and demonstrated on a numerical example.
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Yazenin, A., Soldatenko, I. (2018). A Portfolio of Minimum Risk in a Hybrid Uncertainty of a Possibilistic-Probabilistic Type: Comparative Study. In: Kacprzyk, J., Szmidt, E., Zadrożny, S., Atanassov, K., Krawczak, M. (eds) Advances in Fuzzy Logic and Technology 2017. EUSFLAT IWIFSGN 2017 2017. Advances in Intelligent Systems and Computing, vol 643. Springer, Cham. https://doi.org/10.1007/978-3-319-66827-7_51
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DOI: https://doi.org/10.1007/978-3-319-66827-7_51
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